Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (Q2154871)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients |
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Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients (English)
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15 July 2022
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stochastic differential equations
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non-globally Lipschitz coefficients
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split-step theta Milstein methods
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strong convergence rates
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